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A self-exciting switching jump diffusion: properties, calibration and hitting time.

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Bibliographic Details
Title: A self-exciting switching jump diffusion: properties, calibration and hitting time.
Authors: Hainaut, Donatien1 donatien.hainaut@uclouvain.be, Deelstra, Griselda2
Source: Quantitative Finance. Mar2019, Vol. 19 Issue 3, p407-426. 20p. 3 Charts, 5 Graphs.
Database: Mathematics Source
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ISSN:14697688
DOI:10.1080/14697688.2018.1501511